Search Results - subject:"non-parametric model"

A new nonparametric combination forecasting with structural breaks

Cai, Zongwu; Gunawan; Sun, Yuying - 2024

Persistent link: https://www.econbiz.de/10015076828

Application of the kNN-Based method and survival approach in estimating loss given default for unresolved cases

Ptak-Chmielewska, Aneta; Kopciuszewski, Paweł; … - In: Risks : open access journal 11 (2023) 2, pp. 1-14

estimation of LGD distribution or regression techniques. This paper presents two different approaches. The first is the KNN non-parametric … model, and the other is based on the Cox survival model. The results suggest that the KNN model has higher performance. The …

Persistent link: https://www.econbiz.de/10014245738

Performance measurement of Indian banking sector : a cross-section perspective

Sharma, Supran Kumar; Raina, Surbhi - In: International journal of business and globalisation : IJBG 37 (2024) 2, pp. 210-236

Persistent link: https://www.econbiz.de/10015063815

The new international regulation of market risk: roles of VaR and CVaR in model validation

Hassani, Samir Saissi; Dionne, Georges - 2021

Persistent link: https://www.econbiz.de/10012545817

Using non-parametric count model for credit scoring

Mestiri, Sami; Farhat, Abdeljelil - In: Journal of quantitative economics 19 (2021) 1, pp. 39-49

Persistent link: https://www.econbiz.de/10012489850

R&D intensity and carbon emissions in the G7 : 1870-2014

Awaworyi Churchill, Sefa; Inekwe, John Nkwoma; Smyth, … - In: Energy economics 80 (2019), pp. 30-37

Persistent link: https://www.econbiz.de/10012172295

Statistical analysis of vessel waiting time and lockage time on the Upper Mississippi River

Zhang, Yu Yvette; Chang, Meng-Shiuh; Fuller, Stephen W. - In: Maritime economics & logistics : a quarterly scientific … 17 (2015) 4, pp. 416-439

Persistent link: https://www.econbiz.de/10011445898

Bootstrapping the economy -- a non-parametric method of generating consistent future scenarios

Müller, Ulrich A; Bürgi, Roland; Dacorogna, Michel M - Volkswirtschaftliche Fakultät, … - 2004

The fortune and the risk of a business venture depends on the future course of the economy. There is a strong demand for economic forecasts and scenarios that can be applied to planning and modeling. While there is an ongoing debate on modeling economic scenarios, the bootstrapping (or...

Persistent link: https://www.econbiz.de/10008506919

A further extension of duration-dependent models

Isogai, Akifumi; Kanoh, Satoru; Tokunaga, Toshifumi - In: The European Journal of Finance 14 (2008) 5, pp. 427-449

The duration dependence of stock market cycles has been investigated using the Markov switching model where the market conditions are unobservable. In conventional modeling, restrictions are imposed such that the transition probability is a monotonic function of duration, which is truncated at a...

Persistent link: https://www.econbiz.de/10005471933

Non-linear modelling and forecasting of S&P 500 volatility

Verhoeven, Peter; Pilgram, Berndt; McAleer, Michael; … - In: Mathematics and Computers in Simulation (MATCOM) 59 (2002) 1, pp. 233-241

the model by forecasting volatility of a stock index. It is found that the non-linear non-parametric model based on …

Persistent link: https://www.econbiz.de/10010748964